Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0449 |
| Annualized Std Dev | 0.2621 |
| Annualized Sharpe (Rf=0%) | 0.1714 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3204.0000 |
| NAs | 1.0000 |
| Minimum | -0.1356 |
| Quartile 1 | -0.0068 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1203 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0165 |
| Skewness | -0.3239 |
| Kurtosis | 10.4543 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0120 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.6384 |
| Historical VaR (95%) | -0.0243 |
| Historical ES (95%) | -0.0403 |
| Modified VaR (95%) | -0.0248 |
| Modified ES (95%) | -0.0436 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-09-22 | 2009-03-09 | 2011-03-30 | -0.6384 | 635 | 115 | 520 |
| 2018-06-07 | 2020-03-23 | 2021-02-08 | -0.5239 | 673 | 451 | 222 |
| 2011-04-05 | 2011-10-03 | 2013-09-18 | -0.3523 | 618 | 126 | 492 |
| 2015-02-17 | 2016-02-11 | 2017-02-15 | -0.3083 | 505 | 250 | 255 |
| 2014-03-07 | 2014-10-13 | 2015-01-26 | -0.1220 | 224 | 153 | 71 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | -1.3 | -0.1 | -0.8 | -2 | 2.9 | -9.9 | 4 | -7.5 |
| 2009 | -3.2 | -0.7 | 1 | 0.5 | 3.5 | 1.4 | 0.5 | -3.2 | -2.9 | -3.9 | 2.9 | -0.9 | -5.4 |
| 2010 | 1.9 | 2.5 | 1.8 | -1.4 | -1.9 | 0.1 | -0.2 | 3.7 | 0.9 | 0.3 | 2.2 | 0 | 10.1 |
| 2011 | 2 | -1.7 | 1 | -0.8 | -2.8 | 1.5 | -1 | -2.4 | -3.4 | -2.8 | -1.2 | 0 | -11.2 |
| 2012 | 1.3 | 0.9 | 1 | -0.6 | -3.1 | 3.8 | -0.9 | 0.6 | -0.3 | 1.1 | 0.5 | 1.5 | 5.9 |
| 2013 | 0.7 | 0.6 | -0.9 | -0.8 | -1.7 | 0.7 | 1 | -1.4 | 2.2 | -0.3 | -0.4 | 0.2 | 0 |
| 2014 | -0.8 | 0.6 | 0.1 | 0.2 | -0.2 | 0.1 | -0.5 | 0.3 | -0.7 | 1.3 | -0.5 | -0.7 | -0.8 |
| 2015 | -0.3 | -0.4 | -0.1 | 0.7 | -0.2 | 0.4 | 0.5 | -2.2 | 0.1 | -0.1 | -0.2 | -1.7 | -3.5 |
| 2016 | 0.1 | 2.5 | -0.6 | 0.1 | -0.4 | 1.9 | -0.7 | 1.2 | 1.2 | -1 | -1.1 | -0.4 | 2.9 |
| 2017 | 0.5 | 1.8 | 0 | 0.1 | 1.4 | 0.6 | 0.9 | 0.5 | -0.3 | 0.9 | -0.7 | 0.5 | 6.5 |
| 2018 | 0.6 | -1.2 | 1.2 | -0.3 | 1.2 | 0.8 | -0.1 | -0.1 | -0.1 | 1.8 | -0.3 | 0.3 | 3.8 |
| 2019 | 0.6 | 1.1 | 2.5 | -0.9 | -0.4 | 0.7 | -2.2 | 1.2 | -1.1 | 2 | -1.1 | 0.2 | 2.6 |
| 2020 | -1.9 | -0.9 | -6.1 | -4.7 | 1.4 | -0.3 | -2.5 | 1.5 | 1.5 | -1.1 | 2.9 | -0.5 | -10.7 |
| 2021 | 2.3 | 2.4 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-06-25 48.9 SPY 132. 0.0047 -0.0182 -0.0494 -0.0073 -0.111 0.0997 0.338 GLD 87.4 -6.00e-4 -0.0097
2 2008-06-26 47.6 SPY 128. -0.0272 -0.046 -0.0795 -0.0249 -0.147 0.0777 0.315 GLD 90.6 3.65e-2 0.0248
3 2008-06-27 47.3 SPY 128. -0.0055 -0.0308 -0.0891 -0.0336 -0.152 0.0703 0.291 GLD 91.5 9.50e-3 0.0283
4 2008-06-30 47.3 SPY 128. 0.0035 -0.0264 -0.0881 -0.0632 -0.149 0.0652 0.310 GLD 91.4 -8.00e-4 0.0495
5 2008-07-01 46.7 SPY 128. 0.0031 -0.0214 -0.0757 -0.0609 -0.154 0.0714 0.315 GLD 92.7 1.38e-2 0.0593
6 2008-07-02 46.0 SPY 126. -0.0171 -0.0427 -0.0862 -0.0792 -0.172 0.0587 0.281 GLD 93.2 5.50e-3 0.0658
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
